Storage is an issue, but every time I've sold off collections to make room (or money) I find myself cussing myself down the road. I couldn't start to list off the SNES RPGs I had complete in box that I paid retail for when new and sold for a few dollars more than I paid (Earthbound, FF3, and Secret of Evermore a good bit higher) but none much over $100.00. Now if I had that collection along with all the games, consoles, arcade machines, and comic books, I sold off I could at least buy a new car out right, and in another 20 - 30 years I would have had something significant to leave my children.
I'll keep buying physical copies and keeping all the boxes, books, cases, etc. Just like Retro I also can't turn down a game under a buck or two. On the buy two get on free sales I usually spend a few hundred dollars on 60 - 80 games. Same at flea markets, yardsales, etc. anything cheap is mine. I'll end up having to build a library in my home to store everything, I've already got a room full now.